Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0761
Annualized Std Dev 0.2126
Annualized Sharpe (Rf=0%) 0.3579

Row

Daily Return Statistics

Close
Observations 3837.0000
NAs 1.0000
Minimum -0.1167
Quartile 1 -0.0044
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0060
Maximum 0.1132
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0134
Skewness -0.2958
Kurtosis 11.4845

Downside Risk

Close
Semi Deviation 0.0098
Gain Deviation 0.0097
Loss Deviation 0.0112
Downside Deviation (MAR=210%) 0.0142
Downside Deviation (Rf=0%) 0.0096
Downside Deviation (0%) 0.0096
Maximum Drawdown 0.6160
Historical VaR (95%) -0.0200
Historical ES (95%) -0.0335
Modified VaR (95%) -0.0196
Modified ES (95%) -0.0320
From Trough To Depth Length To Trough Recovery
2007-07-16 2009-03-09 2013-01-02 -0.6160 1378 416 962
2020-02-13 2020-03-23 2020-11-24 -0.3871 199 27 172
2018-09-24 2018-12-24 2019-11-01 -0.2073 280 64 216
2015-05-22 2016-02-11 2016-08-15 -0.1734 311 183 128
2018-01-29 2018-03-23 2018-09-21 -0.1090 165 39 126

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA NA NA NA -0.5 -0.5
2006 0.1 0.7 -0.3 -0.3 1.2 0.1 -0.6 0.5 -0.3 -0.5 -0.3 -0.4 -0.1
2007 0.7 -0.3 0.2 0.1 0.6 -0.2 0.6 1.2 1.1 -2.8 0.9 -0.9 1.1
2008 1.5 -2.8 4.1 2.1 -0.2 0.4 -0.3 -1 0.5 2.5 -9.3 1.5 -1.4
2009 -2.3 -2.4 2.2 0.5 2.3 0.3 1 -3.8 -3.5 -3.7 1.2 -1 -9.1
2010 1.8 1.2 0.8 -1.6 -2 -0.6 0.1 3 0.6 -0.2 2.2 -0.1 5.2
2011 1.5 -1.5 0.5 0.1 -2.3 1.3 -0.5 -1.2 -2.4 -3.1 -0.3 -0.3 -8
2012 1.1 0.8 0.3 0.8 -2.4 2.3 -0.4 0.4 0.3 1.2 0.1 1.7 6.3
2013 1 0.4 -0.4 -1.1 -1.3 0.7 1.3 -0.5 0.8 0.3 -0.1 0.4 1.4
2014 -0.7 0.4 0.5 -0.1 0.1 0.5 -0.3 0.4 -1.4 1.1 -0.5 -1 -0.9
2015 -1.4 -0.3 -0.3 0.9 0.1 0.6 -0.3 -3 0.1 -0.3 1 -0.8 -3.8
2016 0 2.2 0.3 -0.6 0.2 0.2 -0.6 -0.1 0.9 -0.7 0.1 -0.3 1.6
2017 -0.1 1.6 -0.3 0.1 1 0.2 0.2 0.5 0.2 0.2 0 -0.4 3.3
2018 0.1 -1.2 1.2 -0.1 0.9 0 -0.4 -0.1 0.3 0.9 0.5 0.8 2.8
2019 0.2 0.6 1.3 -0.7 -1.5 0.6 -1.2 0.2 -1.5 1.3 -0.4 0.3 -1
2020 -2 -1.1 -4.8 -3.2 0.6 -0.4 0.1 0.4 0.4 -0.4 1 0.7 -8.3
2021 0.2 2.5 -0.2 NA NA NA NA NA NA NA NA NA 2.5

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart